HE EFFECT OF DIVIDEND ANNOUNCEMENT TO SHARE BEFORE AND AFTER RETURN ex-dividend date IN INDONESIA OF STOCK EXCHANGE (IDX)

Eria Handa Resta

Abstract


This research aims to analyze whether the
announcements of dividend increases and decreases aect
stock returns and on what day of the occurrence of such
in
uence before and after ex-dividend date in Indonesia of
Stock Exchange. The sample used in this research is on
the 28 companies are incorporated in the period February
LQ45 shares in July 2010 in Indonesia of Stock Exchange.
Researchers divided into two groups namely the dividend
announcement, the announcement of dividend increase and
dividend decrease announcements group. Announcement
of dividend increase group consists of 21 companies and
the dividend reduction announcement group consists of 7
companies. While the period of study was set for 21 days
consisting of 10 days before the event date, a day when
the event date and the 10 days after the event date. The
method used in this study is the Event Study by observ-
ing the movement of shares in the capital market, to test
whether there is a reaction to stock prices as a result of the
dividend announcement abnormal return tests performed
during the observation period. The model used is the Mar-
ket Model with One Simple testing using t-test. Based on
the results obtained can be seen that the announcement of
dividend increases that are a positive in
uence on stock re-
turns before and after ex-dividend date in Indonesia Stock
Exchange (IDX). It can be seen t-table and t-count that oc-
curred on day t0 and t +10. At t0 the value t count> t table
at t0 is (-5139> 1725) with abnormal return value of -0017.
And at t +10 t count value> t table (-2206> 1725) with a
value of abnormal return of -0.0 10. While the dividend re-
duction announcement a positive in
uence on stock returns
before and after ex-dividend date in Indonesia Stock Ex-
change (IDX). It can be seen from the table and t-t-count
on day t +6 t table ie> t count (-1943> -2256) with an ab-
normal return of -0002.

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